Some embodiments provide a method that allows a first data compute node (DCN) to forward outgoing traffic to a second DCN directly in spite of receiving the incoming traffic from the second DCN through a load balancer. That is, the return traffic's network path from the first DCN (e.g., a server machine) to the second DCN (e.g., a client machine) bypasses the load balancer, even though a request that initiated the return traffic is received through the load balancer. The load balancer receives a connection session request from a client machine to connect to a server. It identifies a set of parameters for the connection session and after selecting a server for the connection, passes the identified set of parameters to a host machine that executes the server. The server establishes the connection session directly with the client machine based on the identified set of parameters.